Publikationsliste Dr. Denis Belomestny

    2019

  • Belomestny, Denis
    Entscheidungen mathematisch treffen : Approximative Dynamische Programmierung mit Tiefen Neuronalen Netzwerken
    In: Unikate: Berichte aus Forschung und Lehre 2019 Nr. Heft 53: Mathematik - Herausforderung des Nichtlinearen, S. 73 - 78
    ISBN: 978-3-934359-53-6 ISSN: 0944-6060; 1869-3881
  • Kazhikenova, S. Sh.; Belomestny, Denis
    Fundamental characteristics of reliability in technological processes in ferrous metal industry
    In: The Bulletin Jg. 2 2019 Nr. 378, S. 120 - 127
    ISSN: 0002-3213; 1991-3494
  • Belomestny, Denis; Panov, Vladimir; Woerner, Jeannette H.C.
    Low-frequency estimation of continuous-time moving average Lévy processes
    In: Bernoulli Jg. 25 2019 Nr. 2, S. 902 - 931
    ISSN: 1350-7265
  • Belomestny, Denis; Hübner, Tobias; Krätschmer, Volker; Nolte, Sascha
    Minimax theorems for American options without time-consistency
    In: Finance and Stochastics Jg. 23 2019 Nr. 1, S. 209 - 238
    ISSN: 0949-2984; 1432-1122
  • Belomestny, Denis; Hildebrand, Roland; Schoenmakers, John
    Optimal Stopping via Pathwise Dual Empirical Maximisation
    In: Applied Mathematics and Optimization Jg. 79 2019 Nr. 3, S. 715 - 741
    ISSN: 1432-0606; 0095-4616
  • Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine
    Sobolev-Hermite versus Sobolev nonparametric density estimation on R
    In: Annals of the Institute of Statistical Mathematics Jg. 71 2019 Nr. 1, S. 29 - 62
    ISSN: 1572-9052; 0020-3157
  • Belomestny, Denis; Trabs, Mathias; Tsybakov, Alexandre B.
    Sparse covariance matrix estimation in high-dimensional deconvolution
    In: Bernoulli Jg. 25 2019 Nr. 3, S. 1901 - 1938
    ISSN: 1350-7265
  • Belomestny, Denis; Orlova, Tatiana; Panov, Vladimir
    Statistical inference for moving-average Lévy-driven processes : Fourier-based approach
    In: Statistica Neerlandica Jg. 73 2019 Nr. 1, S. 100 - 117
    ISSN: 1467-9574; 0039-0402
  • 2018

  • Belomestny, Denis; Schoenmakers, John
    Advanced simulation-based methods for optimal stopping and control : With applications in finance
    London 2018
    ISBN: 978-1-137-03350-5; 978-1-137-03351-2
  • Belomestny, Denis; Trabs, Mathias
    Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
    In: Annales de l'institut Henri Poincare (B) Probability and Statistics Jg. 54 2018 Nr. 3, S. 1583 - 1621
    ISSN: 0246-0203
  • Belomestny, Denis; Schoenmakers, John
    Projected particle methods for solving McKean-Vlasov stochastic differential equations
    In: SIAM Journal on Numerical Analysis Jg. 56 2018 Nr. 6, S. 3169 - 3195
    ISSN: 0036-1429; 1095-7170
  • Belomestny, Denis; Häfner, Stefan; Urusov, Mikhail
    Regression-based complexity reduction of the nested monte carlo methods
    In: SIAM Journal on Financial Mathematics Jg. 9 2018 Nr. 2, S. 665 - 689
    ISSN: 1945-497X
  • Belomestny, Denis; Panov, Vladimir
    Semiparametric estimation in the normal variance-mean mixture model
    In: Statistics: A Journal of Theoretical and Applied Statistics Jg. 52 2018 Nr. 3, S. 571 - 589
    ISSN: 1029-4910; 0233-1888
  • Belomestny, Denis; Häfner, S.; Urusov, Mikhail
    Stratified regression-based variance reduction approach for weak approximation schemes
    In: Mathematics and Computers in Simulation Jg. 143 2018 S. 125 - 137
    ISSN: 0378-4754
  • Belomestny, Denis; Häfner, Stefan; Nagapetyan, Tigran; Urusov, Mikhail
    Variance reduction for discretised diffusions via regression
    In: Journal of mathematical analysis and applications Jg. 458 2018 Nr. 1, S. 393 - 418
    ISSN: 0022-247X
  • Belomestny, Denis; Iosipoi, L.S.; Zhivotovskiy, N.K.
    Variance Reduction in Monte Carlo Estimators via Empirical Variance Minimization
    In: Doklady Mathematics Jg. 98 2018 Nr. 2, S. 494 - 497
    ISSN: 1064-5624; 1531-8362
  • 2017

  • Krätschmer, Volker; Belomestny, Denis
    Addendum to “Optimal stopping under model uncertainty: Randomized stopping times approach”
    In: The Annals of Applied Probability Jg. 27 2017 Nr. 2, S. 1289 - 1293
    ISSN: 1050-5164
  • Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine
    Correction to: Nonparametric Laguerre estimation in the multiplicative censoring model
    In: Electronic Journal of Statistics Jg. 11 2017 Nr. 2, S. 4845 - 4850
    ISSN: 1935-7524
  • Belomestny, Denis; Mai, Hilmar; Schoenmakers, John
    Generalized Post–Widder inversion formula with application to statistics
    In: Journal of Mathematical Analysis and Applications Jg. 455 2017 Nr. 1, S. 89 - 104
    ISSN: 0022-247X
  • Belomestny, Denis; Nagapetyan, Tigran
    Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs
    In: Bernoulli Jg. 23 2017 Nr. 2, S. 927 - 950
    ISSN: 1350-7265
  • Belomestny, Denis; Krätschmer, Volker
    Optimal stopping under probability distortions
    In: Mathematics of Operations Research Jg. 42 2017 Nr. 3, S. 806 - 833
    ISSN: 1526-5471; 0364-765X
  • Belomestny, Denis; Häfner, Stefan; Urusov, Mikhail
    Regression-Based Variance Reduction Approach for Strong Approximation Schemes
    In: Modern Problems of Stochastic Analysis and Statistics: Selected Contributions In Honor of Valentin Konakov / Konakov, Valentin; International Conference on Modern problems of stochastic analysis and statistics, in honor On the occasion of Valentin Konakov’s 70th birthday, 2016; Moscow; Russian Federation; 29 May 2016 through 2 June 2016 / Panov, Vladimir; (Hrsg.), 2017 S. 131 - 178
    ISBN: 9783319653129 ISSN: 2194-1017; 2194-1009
  • Krymova, Ekaterina; Nagathil, Anil; Belomestny, Denis; Martin, Rainer
    Segmentation of music signals based on explained variance ratio for applications in spectral complexity reduction
    In: ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings / ICASSP 2017; New Orleans; United States; 5 March 2017 through 9 March 2017 / 2017 S. 206 - 210
    ISBN: 9781509041176 ISSN: 1520-6149
  • Belomestny, Denis; Härdle, Wolfgang Karl; Krymova, Ekaterina
    SIEVE ESTIMATION of the MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY with APPLICATION to PRICING KERNEL ESTIMATION
    In: International Journal of Theoretical and Applied Finance Jg. 20 2017 Nr. 6, S. 1750041
    ISSN: 0219-0249
  • 2016

  • Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine
    Nonparametric laguerre estimation in the multiplicative censoring model
    In: Electronic Journal of Statistics Jg. 10 2016 Nr. 2, S. 3114 - 3152
    ISSN: 1935-7524
  • Krätschmer, Volker; Belomestny, Denis
    Optimal stopping under model uncertainty : Randomized stopping times approach
    In: The annals of applied probability Jg. 26 2016 Nr. 2, S. 1260 - 1295
    ISSN: 1050-5164
  • Krätschmer, Volker; Belomestny, Denis
    Optimal stopping under probability distortions and law invariant coherent risk measures
    In: De.arxiv.org Jg. 2016 2016 S. 1506.04439
  • Belomestny, Denis; Schoenmakers, John
    Statistical inference for time-changed Lévy processes via Mellin transform approach
    In: Stochastic processes and their applications Jg. 126 2016 Nr. 7, S. 2092 - 2122
  • Belomestny, Denis; Chen, Nan; Wang, Yiwei
    Unbiased simulation of distributions with explicitly known integral transforms
    In: Monte Carlo and Quasi-Monte Carlo Methods: MCQMC, Leuven, Belgium, April 2014 / Cools, Ronald; Nuyens, Dirk (Hrsg.), 2016 S. 229 - 244
    ISBN: 978-3-319-33507-0
  • 2015

  • Belomestny, Denis; Joshi, Mark; Schoenmakers, John
    Addendum to: Multilevel dual approach for pricing American style derivatives
    In: Finance and stochastics Jg. 19 2015 Nr. 3, S. 681 - 684
    ISSN: 0949-2984
  • Belomestny, Denis; Reiß, Markus
    Estimation and calibration of lévy models via Fourier methods
    In: Lévy Matters IV: Estimation for Discretely Observed Lévy Processes Jg. 2128 2015 S. 1 - 76
    ISBN: 978-3-319-12372-1; 978-3-319-12373-8
  • Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine; Masuda, Hiroki; Reiß, Markus
    Lévy Matters IV : Estimation for Discretely Observed Lévy Processes
    Cham 2015 XV, 286 S.
    (Lecture Notes in Mathematics ; 2128)
    ISBN: 978-3-319-12372-1; 978-3-319-12373-8
  • Belomestny, Denis; Ladkau, Marcel; Schoenmakers, John
    Multilevel simulation based policy iteration for optimal stopping-convergence and complexity
    In: SIAM-ASA Journal on Uncertainty Quantification Jg. 3 2015 Nr. 1, S. 460 - 483
    ISSN: 2166-2525
  • Belomestny, Denis; Dickmann, Fabian; Nagapetyan, Tigran
    Pricing Bermudan options via multilevel approximation methods
    In: SIAM Journal on Financial Mathematics Jg. 6 2015 Nr. 1, S. 448 - 466
    ISSN: 1945-497X
  • Belomestny, Denis; Prokhorov, A.V.
    Stability of Characterization of the Independence of Random Variables by the Independence of Linear Statistics Read More: https://epubs.siam.org/doi/10.1137/S0040585X97T987363
    In: Theory of Probability and its Applications Jg. 59 2015 Nr. 4, S. 672 - 677
    ISSN: 1095-7219; 0040-585X
  • Belomestny, Denis; Panov, Vladimir
    Statistical inference for generalized Ornstein-Uhlenbeck processes
    In: Electronic journal of statistics Jg. 9 2015 Nr. 2, S. 1974 - 2006
    ISSN: 1935-7524
  • Belomestny, Denis; Schoenmakers, John
    Statistical Skorohod embedding problem : optimality and asymptotic normality
    In: Statistics & probability letters Jg. 104 2015 S. 169 - 180
    ISSN: 0167-7152
  • 2014

  • Belomestny, Denis; Spokoiny, Vladimir
    Concentration inequalities for smooth random fields
    In: Theory of Probability & Its Applications Jg. 58 2014 Nr. 2, S. 314 - 323
    ISSN: 0040-585X
  • Belomestny, Denis; Bender, Christian; Dickmann, Fabian; Schweizer, Nikolaus
    Solving stochastic dynamic programs by convex optimization and simulation
    In: Extraction of Quantifiable Information from Complex Systems Jg. 102 2014 S. 1 - 23
    ISBN: 978-3-319-08158-8
  • 2013

  • Belomestny, Denis; Panov, Vladimir
    Abelian theorems for stochastic volatility models with application to the estimation of jump activity
    In: Stochastic Processes and their Applications Jg. 123 2013 Nr. 1, S. 15 - 44
    ISSN: 0304-4149
  • Belomestny, Denis; Panov, Vladimir
    Estimation of the activity of jumps in time-changed Lévy models
    In: Electronic Journal of Statistics Jg. 7 2013 Nr. 1, S. 2970 - 3003
    ISSN: 1935-7524
  • Belomestny, Denis; Schoenmakers, John; Dickmann, Fabian
    Multilevel dual approach for pricing American style derivatives
    In: Finance and stochastics Jg. 17 2013 Nr. 4, S. 717 - 742
    ISSN: 0949-2984
  • Belomestny, Denis
    Solving optimal stopping problems via empirical dual optimization
    In: Annals of Applied Probability Jg. 23 2013 Nr. 5, S. 1988 - 2019
    ISSN: 1050-5164
  • 2012

  • Belomestny, Denis; Krätschmer, Volker
    Central limit theorems for law-invariant coherent risk measures
    In: Journal of Applied Probability (JAP) Jg. 49 2012 Nr. 1, S. 1 - 21
    ISSN: 0021-9002; 1475-6072
  • Belomestny, Denis; Ladkau, Marcel; Schoenmakers, John
    Tight bounds for American options via multilevel Monte Carlo
    In: Proceedings of the 2012 Winter Simulation Conference (WSC) / Winter Simulation Conference (WSC), 9 - 12 Dec. 2012, Berlin, Germany / 2012
    ISBN: 978-1-4673-4779-2; 978-1-4673-4781-5; 978-1-4673-4779-2
  • 2011

  • Belomestny, Denis
    Spectral estimation of the Lévy density in partially observed affine models
    In: Stochastic Processes and their Applications Jg. 121 2011 Nr. 6, S. 1217 - 1244
    ISSN: 0304-4149
  • Belomestny, Denis
    Statistical inference for time-changed Lévy processes via composite characteristic function estimation
    In: The Annals of Statistics: an official journal of the Institute of Mathematical Statistics Jg. 39 2011 Nr. 4, S. 2205 - 2242
    ISSN: 2168-8966; 0090-5364
  • 2010

  • Belomestny, Denis; Rüschendorf, L.; Urusov, Mikhail
    Optimal Stopping of Integral Functionals and a “No-Loss” Free Boundary Formulation
    In: Theory of probability and its applications Jg. 54 2010 Nr. 1, S. 14 - 28
    ISSN: 1095-7219
  • 2003

  • Belomestny, Denis; Jentsch, V.; Schreckenberg, Michael
    Completion and continuation of nonlinear traffic time series : A probabilistic approach
    In: Journal of Physics A: Mathematical and General Jg. 36 2003 Nr. 45, S. 11369 - 11383
    ISSN: 0305-4470; 1361-6447